Sökning: "autoregressive"

Visar resultat 11 - 15 av 96 avhandlingar innehållade ordet autoregressive.

1. 11. Modelling and forecasting economic time series with single hidden-layer feedforward autoregressive artificial neural networks

   Författare :Gianluigi Rech; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This dissertation consists of 3 essays In the first essay, A Simple Variable Selection Technique for Nonlinear Models, written in cooperation with Timo Teräsvirta and Rolf Tschernig, I propose a variable selection method based on a polynomial expansion of the unknown regression function and an appropriate model selection criterion. The hypothesis of linearity is tested by a Lagrange multiplier test based on this polynomial expansion. LÄS MER

3. 12. Modeling the covariance matrix of financial asset returns

   Författare :Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

   Sammanfattning : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. LÄS MER

4. 13. Analyzing the dynamics of hand tremor time series

   Författare :Hong Yang; Chalmers tekniska högskola; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; peripheral oscillator; central oscillator; non-linear phenomenon; autoregressive integrated model; pathological finger force tremor;

   Sammanfattning : .... LÄS MER

5. 14. Pre-testing and specification search in an autoregressive moving average process with extension to unit root cases

   Författare :Thimothy Oke; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Statistics; Statistik; Statistics; Statistik; Statistics; statistik;

   Sammanfattning : Several methods are applied in well defined contexts in the search for an appropriatestatistical model to fit a data set. Preliminary tests of significance for this end aretermed pre-testing. The aim of this study was to investigate some of the consequencesof such pre-testing in a few specific time series processes. LÄS MER

7. 15. Testing the unit root hypothesis in nonlinear time series and panel models

   Författare :Rickard Sandberg; Handelshögskolan i Stockholm; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : The thesis contains the four chapters: Testing parameter constancy in unit root autoregressive models against continuous change; Dickey-Fuller type of tests against nonlinear dynamic models; Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed; Testing unit roots in nonlinear dynamic heterogeneous panels. In Chapter 1 we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. LÄS MER